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Then you need to install a web server on your local machine (along with PHP and whatever DBMS you are using). If you are using MySQL, the simplest way is to use one of the installers that install all 3, such as Wampserver (Windows only) or XAMPP (most OS's/platforms), which will install Apache, PHP, and MySQL for you.

Once installed, you make sure your PHP files are in or under the configured web root directory, then access it via a "localhost" URL, e.g.: "http://localhost/my_script.php" (NOT from the browser's "File" menu option).

"Please give us a simple answer, so that we don't have to think, because if we think, we might find answers that don't fit the way we want the world to be."
~ Terry Pratchett in Nation

Just to add to NogDog's comments, wamp can be configured to work across a local network. To access it, you substitute the local address of the machine it is running on for "localhost". E.g. If wamp is running on the machine "192.168.0.2", instead of "http://localhost/my-script.php", use "http://192.168.0.2/my-script.php".